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Arab Journal of Administration المجلة العربية للإدارة

Abstract

This study aims to test the non stationary hypothesis, causality and co-integration relationship between Amman Bursa indices during the period 2000-2009. The importance of this study came from the importance of financial markets and financial indices. The paper utilized Augmented Dickey-Fuller approach to test unit root and Granger Causality to test for the existence causality. The statistical tests results indicate that the variables are integrated of order zero, I (0), consequently reject the null hypothesis of non stationary. This study also showed that there is causal relationship in uni/bi directional between those indices. The last result, co-integration tests showed the existence of long- run relationship between variables. These results indicate that diversification is not useful and there is market risk in market portfolio. Finally, the study suggests the researchers should examine the time series in order to prevent spurious regression.

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